Well, one way to do it is to go to "My Computer" and use the Auto-play tab (preferences>autoplay) for the selected device. This is kind of a pain, since you have to turn it off for multiple file types. I would think this cool, if I could specify the program each type activates... as it is, it's just annoying.

There may be a way to shut down auto-play system wide, but it's not in the supplied help, as far as I can see.